{smcl}
{com}{sf}{ul off}{txt}{.-}
      name:  {res}<unnamed>
       {txt}log:  {res}C:\Users\myogo\Princeton Dropbox\Motohiro Yogo\Koijen Yogo - International\JPE\Replication\Code\3 Estimation\Prediction2.smcl
  {txt}log type:  {res}smcl
 {txt}opened on:  {res}31 Oct 2025, 09:29:56
{txt}
{com}. /* Call the ado file */
> 
> Prediction2 2;

{txt}Linear regression                               Number of obs     = {res}        75
                                                {txt}F(1, 73)          =  {res}     3.59
                                                {txt}Prob > F          = {res}    0.0620
                                                {txt}R-squared         = {res}    0.0482
                                                {txt}Root MSE          =    {res} .15594

{txt}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{col 14}{c |}{col 26}    Robust
{col 1}        _ret{col 14}{c |} Coefficient{col 26}  std. err.{col 38}      t{col 46}   P>|t|{col 54}     [95% con{col 67}f. interval]
{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{space 9}Lmb {c |}{col 14}{res}{space 2}-.0900406{col 26}{space 2} .0475133{col 37}{space 1}   -1.90{col 46}{space 3}0.062{col 54}{space 4}-.1847344{col 67}{space 3} .0046533
{txt}{space 7}_cons {c |}{col 14}{res}{space 2} .1705792{col 26}{space 2} .0333106{col 37}{space 1}    5.12{col 46}{space 3}0.000{col 54}{space 4} .1041913{col 67}{space 3} .2369671
{txt}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{res}{txt}(47,210 missing values generated)
(47,210 missing values generated)
(47,210 missing values generated)
{res}{txt}(23,431 real changes made)
(23,431 real changes made)
(23,431 real changes made)
{res}{txt}(43,980 missing values generated)
(23,779 real changes made)
(23,779 real changes made)
(23,779 real changes made)
{res}{txt}{p 0 1 2}
(saving
Var_c1,
Var_c2[2,2],
Var_c3,
c1,
c2[1,2],
c3)
{p_end}
{txt:file Prediction2.mmat saved}
{res}
{txt}                     _Gfx        _ret2        _ret3
{txt}                     b/se         b/se         b/se
{txt}Lmb         {res}                     -0.74             {txt}
            {res}                      0.11             {txt}
{txt}Lrealfx     {res}        -0.27        -0.36        -0.56{txt}
            {res}         0.07         0.07         0.33{txt}
{txt}_cons       {res}                     -0.07         0.19{txt}
            {res}                      0.02         0.04{txt}
{txt}R-sq        {res}         0.17         0.32         0.11{txt}
{txt}N           {res}          424          640          640{txt}
(63,937 real changes made)
{p 0 4 2}
file {bf}
Prediction2.dta{rm}
saved
{p_end}

{com}. log close;
      {txt}name:  {res}<unnamed>
       {txt}log:  {res}C:\Users\myogo\Princeton Dropbox\Motohiro Yogo\Koijen Yogo - International\JPE\Replication\Code\3 Estimation\Prediction2.smcl
  {txt}log type:  {res}smcl
 {txt}closed on:  {res}31 Oct 2025, 09:30:01
{txt}{.-}
{smcl}
{txt}{sf}{ul off}